Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0856 |
| Annualized Std Dev | 0.2014 |
| Annualized Sharpe (Rf=0%) | 0.4250 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4487.0000 |
| NAs | 1.0000 |
| Minimum | -0.1195 |
| Quartile 1 | -0.0048 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0064 |
| Maximum | 0.1357 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0127 |
| Skewness | -0.5618 |
| Kurtosis | 14.2523 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0086 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.5340 |
| Historical VaR (95%) | -0.0189 |
| Historical ES (95%) | -0.0311 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0339 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2013-03-20 | -0.5340 | 1431 | 416 | 1015 |
| 2018-09-24 | 2020-03-23 | 2020-12-15 | -0.4065 | 562 | 376 | 186 |
| 2015-07-17 | 2016-02-08 | 2016-11-17 | -0.1955 | 337 | 141 | 196 |
| 2014-07-24 | 2014-10-15 | 2014-11-24 | -0.1240 | 87 | 59 | 28 |
| 2021-02-16 | 2021-03-04 | NA | -0.1047 | 25 | 13 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | 1.3 | 0.5 | -1 | 0.8 | 1.6 | 0.5 | 0.8 | 0.6 | 5.1 |
| 2004 | -0.1 | 1 | 1 | -0.3 | 0.5 | -1.3 | 0.4 | 0.7 | 0.9 | 0.2 | 1.4 | -0.1 | 4.5 |
| 2005 | 1.3 | 0.4 | -0.5 | 1 | 0.8 | 0.6 | 0.2 | -0.2 | 0.5 | -0.1 | 1.4 | -0.9 | 4.5 |
| 2006 | 0.3 | 0.9 | -0.2 | 0.4 | 1.4 | 0.2 | -0.8 | 0.5 | -0.4 | -0.8 | -0.2 | -0.6 | 0.5 |
| 2007 | 0.7 | -0.1 | -0.2 | 0.2 | 0.5 | -0.3 | 0.3 | 0.8 | 1.1 | -2.1 | 0.9 | -0.7 | 0.9 |
| 2008 | 2 | -2.5 | 2.8 | 1.6 | 0.2 | -0.2 | -0.2 | -1.2 | -0.7 | 1.6 | -7.9 | 1.7 | -3.3 |
| 2009 | -2.4 | -1.3 | 1.4 | 0.9 | 2.1 | 0.7 | -0.2 | -1.5 | -2.1 | -2.8 | 1 | -1.1 | -5.3 |
| 2010 | 1.4 | 1.5 | 0.4 | -2.1 | -2.5 | -0.6 | -0.1 | 3 | 0.4 | -0.1 | 2.1 | -0.1 | 3.2 |
| 2011 | 1.6 | -1.2 | 0.7 | 0.1 | -2.1 | 1.4 | -0.6 | -1.2 | -1.6 | -3.5 | 1.2 | -0.3 | -5.5 |
| 2012 | 1.4 | 0.8 | 0.3 | 0.6 | -2.7 | 3.1 | -0.2 | 0.5 | 0.2 | 1.2 | 0.1 | 1.8 | 7.3 |
| 2013 | 1 | 0.2 | -0.4 | -1.2 | -0.7 | 0.6 | 1.5 | -0.8 | 0.7 | -0.6 | 0 | 0.3 | 0.6 |
| 2014 | -0.2 | 0.4 | 1 | -0.2 | -0.1 | 1.1 | 0.1 | 0.3 | -2.5 | 1.5 | -1.9 | -0.8 | -1.3 |
| 2015 | -1.3 | -0.3 | -0.5 | 1.9 | 0.4 | 0.5 | 0.1 | -2.9 | 0.3 | -0.1 | 0.7 | -0.8 | -2.1 |
| 2016 | 0.7 | 1.7 | 0.1 | -2.2 | 0.4 | 0.2 | -0.5 | 0.1 | 0.8 | -0.9 | -1 | -0.6 | -1.2 |
| 2017 | 0 | 1.6 | 0.7 | -0.2 | 1.5 | 0.4 | -0.2 | 0.8 | 0.3 | -0.3 | -1 | 0.1 | 3.8 |
| 2018 | -0.1 | -1 | 1.2 | -0.1 | 0.9 | 0.1 | -0.4 | 0.2 | -0.1 | 0.6 | 0.4 | 1.1 | 2.9 |
| 2019 | 0.2 | 0.8 | 1.2 | -1.2 | -1.9 | 1.2 | -1.4 | 0 | -1.4 | 1.1 | -0.7 | 0.1 | -2 |
| 2020 | -2.4 | -2.4 | -5.3 | -2.2 | 0.1 | 0 | 0.4 | 0.6 | 0.2 | -1.3 | 0.7 | -0.6 | -11.7 |
| 2021 | 1.5 | 3.3 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
